Why would the Jews want to settle in a country that killed six million of them?

A Jewish state was established in what is now Israel based on a movement for a Jewish state that came long before the Holocaust. The leadership of Zionism had settled on Israel around 30 years before the rise of the Nazis, in fact.

When Zionism's political component was more or less founded by Theodor Herzl (who himself came after other Zionist movements in the 1880s that largely petered out), he had proposed a Jewish state in the area that is now Israel. However, he had also proposed a Jewish state in Argentina, as an alternative. Reading Der Judenstaat provides insight into this, where Herzl said:

Shall we choose Palestine or Argentine? We shall take what is given us, and what is selected by Jewish public opinion. The Society will determine both these points.

His proposal to create a "Society" to determine this bore fruit, and Herzl organized the World Zionist Congress, a meeting of Jewish leaders and intellectuals (mostly from Europe). The First Congress, held in 1897, brought together over 200 delegates for an attempt to set a Zionist agenda to gain a Jewish state, and delegates came from a variety of states and backgrounds.

The debate over where to place the Jewish state was resolved relatively quickly, in terms of a decision between Argentina and Palestine. The Basel Program was put out by the decision of the WZC, which declared that the goal was to settle in and build a Jewish state in Palestine, not Argentina. For a brief time later on, there was a proposal to settle Jews in the Sinai, or in Uganda (actually near Nairobi, but called Uganda at the time by the plan's proponents) with British assistance, but both ideas were rejected fairly quickly. As Herzl put it in Der Judenstaat:

Palestine is our ever-memorable historic home. The very name of Palestine would attract our people with a force of marvellous potency.

Herzl was right, and Jewish leaders were set on a Jewish state there for decades before the Nazis rose to power.

The Holocaust did not change this goal of Jewish leaders. A proposal for a Jewish state in Germany was made, but not by Jewish leaders. Rather, it was made by Lord Moyne, back in 1941, but the response from David Ben-Gurion (Israel's first Prime Minister and founding father) was essentially, "you will never make us go there". Once the full extent of the Holocaust was understood, the idea of settling Jews in what used to be Nazi Germany was a pipe dream. Moyne, for his part, was assassinated by an terrorist fringe group of Zionists known as "Lehi", which was eventually forcibly disbanded by the state of Israel in 1948, and was hunted down after they assassinated Folke Bernadotte, a Swedish UN diplomat. So while the idea was considered by some, it was never considered seriously by Jewish leaders, who would never have consented.